Because his family was originally French that established itself in Valencia in the early 1800s.
While he was born in Spain, de Lôme was of French parentage. Though "Enrique" is a name that gives testament to his Spanish origins, "Dupuy" is French (du Puy, referring to a Le Puy-en-Velay, a commune in the region of Auvergne).
de Lôme's surname follows the Francophone tradition of his parents and not the nomenclature of their adoptive home.